On capital injections and dividends with tax in a classical risk model

DOI10.1016/j.insmatheco.2016.08.004zbMath1371.91108OpenAlexW2519930798MaRDI QIDQ2374104

Hanspeter Schmidli

Publication date: 14 December 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.08.004

zbMATH Keywords

Hamilton-Jacobi-Bellman equationcapital injectionsbarrier strategydividendstax

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites Work

• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
• Extended Gerber-Shiu functions in a risk model with interest
• Lundberg's risk process with tax
• Minimising expected discounted capital injections by reinsurance in a classical risk model
• On capital injections and dividends with tax in a diffusion approximation
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